Market Risk FRM L2
Three most interesting areas in Market Risk Uni variate and Multi Variate :
- EVT
- Multi Variate Models
- Back Testing
- Monte Carlo
- Copula
4 Chapters in which the area is divided:
- Uni variate
- Multivariate
- Volatility
- MBS: OAS, etc. Pre payment, trenching, etc
The first two might be theoretical and more maths, but the last 2 are seen extensively in the market. Volatility index is something which is often seen and an important area.
Credit risk
A highly practical subject
- Includes CDO, CDS, pre payments, etc
- default probability and CDS
- sovereign rating: GDP, currency and debt of the nation
- measuring default from market prices
- spread and default
- merton model
- currency swap interest rate swap
- CDO structure trenching: junior senior
Other topics
Hedge fund risk / portfolio risk
MATLAB VAR:
http://gloria-mundi.com/library_journal_view.asp?journal_id=8769
http://www.mathworks.com/matlabcentral/fileexchange/32154-estimation-value-at-risk-by-using-conditional-copula-garch
http://www.mathworks.com/help/finance/conditional-value-at-risk-portfolio-optimization.html
http://www.mathworks.com/help/finance/portvrisk.html
http://www.docstoc.com/docs/73976635/Matlab-Code-for-Value-at-Risk-Methods
http://www.analyticsresearch.net/Documents/VALUE%20AT%20RISK.new4practical.pdf
http://datavir.com/?p=304
http://www.thetaris.com/wiki/Value_at_Risk
http://www.mathfinance.cn/value-at-risk-estimation-with-copula/
http://www.sfu.ca/~rgencay/evim.pdf
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=ESAM2011&paper_id=145
http://phd.london.edu/pnath.phd98/MatlabUtilities.htm
